Preheat oven to 375ºF. Line cleaned mushroom caps with stems removed on a sheet pan lined with parchment paper or nonstick foil
Chop mushrooms stems by hand or lightly pulse in a food processor
Heat oil over medium-high heat in a non-stick pan. Sauté shallots and apples 1-2 minutes, then add chopped mushroom stems. Sauté for 5-7 minutes until apples have softened. Remove pan from heat and stir in fresh sage.
Drain walnuts and place in food processor. Add all remaining ingredients except cheese. Gently pulse the walnut and spice mixture a few times until the mixture represents the consistency of ground meat.
Place walnut sausage meat into a mixing bowl and add cheese plus the sautéed stem/apple/shallot/sage mixture. Stir until combined and mixture is completely moistened.
Using hands (gloves recommended here), shape mixture into small meatballs, then gently stuff and form into mushroom caps. Optional top with additional cheese.
Bake 15 minutes and serve immediately.